Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator

This paper focuses on first-order autoregressive models in which the noise variance increases without bound. Although this specification violates a standard assumption made in the relevant literature, namely that of bounded noise variance, it is proved that the well-known Eicker-White estimator remains a consistent estimator of the asymptotic variance of the OLS estimator.

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Year of publication:	2010
Authors:	Kourogenis, Nikolaos ; Pittis, Nikitas
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 106.2010, 2, p. 84-86
Publisher:	Elsevier
Keywords:	Polynomial-like noise variance Asymptotic variance Order of variance growth Eicker-White variance estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551344